Recent content by pkfryer

I've been doing lots of system design and testing last few months on my newly finished analyser which took a while to finish. One thing I found is if you dont use stops you can pretty much make incredible wins consistently if there is even a slightly upward drift to the market. I have hit...

Yeah I know that now LevII. Cost of living is high, tax is high... I wouldn't go to france! I'm planning on moving to Malta instead!

Yes I agree with you ducati. You've pointed out something I didn't consider, if you only had a 50% or less expectancy. But you've got to include the win/loss ratio in that equation too. If you have reasonably tight stop losses and have a ratio of winning say 2 times more than you lose, even...

I think we are talking about different approaches that address a similar thing, increasing the efficiency of a systems profitability whilst at the same time controlling risk. The problem with the aggressive risk formula is that when you lose you will lose a lot more, but when you win you make...

The aggressive risk formula would be applied to your recent profit only, the 2% would always be in place with the majority of your account, allowing acceleration as your account grows. With a winning strategy, it would probably continue winning with similar stats in the future. Therefore the...

Actually I think thats a good point. The statistics isn't just about the system behaviour its about our behaviour and how we would psychologically/emotionally react whilst trading the system. I think as far as the system stats is concerned if it consistently wins in the long run thats all that...

cheers. I've now incorporated your suggestions into my statistics class. I've add Average Trade Value, max period between equity peaks and max drawdown (also got the run up which seems quite interesting). I can't quite do the annualised profit but I'm putting that on my list for future work...

Thats interesting. So when you see these highly detailed stats with a million different facts and figures, most of it is pretty much superfluous. I also think drawdown is very important too. I have a stat that I'm calculating which is avgWin (profit/no of winning trades) / avgLoss (loss/no of...

What is your wish list for system statistics for back testing or otherwise? What would you find most useful and give you the most information on the behaviour of the system?

What system do you use to produce such good results in such a short period of time?

Whats your understanding of the term Maximum Drawdown and Maximum Run-up? Is it the maximum fall of equity from the highest point? E.g. if the highest point is 20K and its currently at 15K, the maximum draw down is 5K. Or is it the maximum drop in equity throughout the history of the equity...

... thats when you get a margin call. So if you were in profit with open trades, this profit could theoretically be used as margin for new trades? Thanks paul, thats what I've coded but wasn't too sure if it was right. I've coded up the behaviour of Brokers to allow for the testing of money...

I'm writing software to emulate brokers and wonder if the open balance of your account can be used as margin for new trades? Or is it just the closed balance?

Make sure you dont lose that £5K+ on lots of dodgy trades instead! I've lost a lot more than that before a came to my senses.

bah.. the calculations and stuff is a bit convaluted. I'll see if I can scan them in for you instead of writing them. Nothing wrong with taking a walk on the 'Wilder' side :)